Born in Tashkent, Uzbekistan, Shakhida Azimkhodjaeva began violin studies at the Tashkent State Conservatory's Special Music School. At age eleven she made her debut with the Uzbekistan Symphony Orchestra and won the Uzbekistan National Violin Competition.

Azimkhodjaeva graduated from the Moscow Tchaikovsky Conservatory where she studied with Professor Irina Medvedeva. While attending school. she performed with Moscow Tchaikovsky Conservatory Symphony Orchestra under direction of such conductors as Zubin Metha, Pierre Boulez, Dmitry Kitaenko, Valery Gergiev, Fuat Mansurov, and many others.

As a soloist and chamber musician, she has performed in all the major cities of the former Soviet Union in the most prestigious halls, including as Moscow Tchaikovsky Conservatory and St. Petersburg Philharmonic Concert Halls.

Azimkhodjaeva was one of the founders of the Moscow Chamber Orchestra “ARCO[2].” Since then she has been concertmaster, soloist, and assistant conductor of the orchestra and has performed extensively both as a soloist and concertmaster in Germany, France, Spain, Italy, Romania, Latvia, Russia, South Korea, USA, and Canada. She has recorded numerous CDs of music by Vivaldi, Mendelssohn, Tchaikovsky, Ysaye, Rosza, Piazzolla and Shostakovich and other contemporary composers. Recent performances include seven appearances at Carnegie Hall's Weill Recital Hall and Moscow Tchaikovsky Conservatory.

Azimkhodjaeva joined the violin faculty of the University of Georgia School Hugh Hodgson School of Music in 1995.